ninjatrader/strategies/rsi-10-6-90-94/README.md

RSI 10-6 / 90-94

This strategy was taken from chapter 7 of High Probability ETF Trading (2009) by Larry Connors.

Rules

10-6 (Long)

1. The ETF (e.g., SPY) is trading above its 200-day moving average.
2. When the 2-period RSI closes below 10, enter a long trade.
3. Enter a second long if the 2-period RSI closes below 6.
4. Exit the trade(s) when price closes above the 5-period moving average.

90-94 (Short)

1. The ETF (e.g., SPY) is trading below its 200-day moving average.
2. When the 2-period RSI closes above 90, enter a short trade.
3. Enter a second short if the 2-period RSI closes above 94.
4. Exit the trade(s) when price closes below the 5-period moving average.

Parameters

Long-Term Trend Period: The period of the long-term trend as measured using a simple moving average. (Default: 200)

Short-Term Trend Period: The period of the short-term trend as measured using a simple moving average. (Default: 5)

RSI Period: The period used in the RSI calculation. (Default: 2)

RSI Smoothing: The smoothing used in the RSI calculation. (Default: 1, no smoothing)

Enable Long Trades: Whether to enable taking long trades. (Default: true)

RSI Long Entry 1: The value of RSI under which to enter the first long trade. (Default: 10)

RSI Long Entry 2: The value of RSI under which to enter the second long trade. (Default: 6)

Enable Short Trades: Whether to enable taking short trades. (Default: true)

RSI Short Entry 1: The value of RSI above which to enter the first short trade. (Default: 90)

RSI Short Entry 2: The value of RSI above which to enter the second short trade. (Default: 94)

Backtest Results

SPY

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